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An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit
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An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit
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An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit
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Journal Article
An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit
2012
Overview
We construct a process with inverse gamma increments and an asymptotically self-similar limit. This construction supports the use of long-range-dependent t subordinator models for actual financial data as advocated in Heyde and Leonenko (2005), in that it allows for noninteger-valued model parameters, as is found empirically in model estimation from data.
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